Great, that makes sense, thank you. I did not know that there was a German bond effect that needed to be smoothed. Do you know why this is? Is it...
Hmm, so in this example, there are maybe 123 good data points to calculate carry between GBM Dec and March, and I get similar numbers: -5% average...
Hi GAT--love your book and journal. In the fan club. A question about the carry/rolldown calculation for bond futures, with an example using GMB...
Separate names with a comma.